Please wait a minute...
ZJUS-A
Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering)  2006, Vol. 7 Issue (4 ): 13-    DOI: 10.1631/jzus.2006.A0564
    
Simulation of game analysis based on an agent-based artificial stock market re-examined
Liu Cheng, Wu Yi-li, Yan Gang-feng
Department of System Science and Engineering, Zhejiang University, Hangzhou 310027, China; School of Business, City College, Zhejiang University, Hangzhou 310015, China
Download:     PDF (0 KB)     
Export: BibTeX | EndNote (RIS)      

Abstract  This work re-examined the simulation result of game analysis (Joshi et al., 2000) based on an agent-based model, Santa Fe Institute Artificial Stock Market. Allowing for recent research work on this artificial model, this paper’s modified game simulations found that the dividend amplitude parameter is a crucial factor and that the original conclusion still holds in a not long period, but only when the dividend amplitude is large enough. Our explanation of this result is that the dividend amplitude parameter is a measurement of market uncertainty. The greater the uncertainty, the greater the price volatility, and so is the risk of investing in the stock market. The greater the risk, the greater the advantage of including technical rules.

Key words： Agent-based model      Technical trading      Asset prices      Simulation     
Received: 07 April 2005     
CLC:  TP391.9  
  F224-39  
Service
E-mail this article
Add to my bookshelf
Add to citation manager
E-mail Alert
RSS
Articles by authors
Liu Cheng
Wu Yi-li
Yan Gang-feng
Cite this article:

Liu Cheng, Wu Yi-li, Yan Gang-feng. Simulation of game analysis based on an agent-based artificial stock market re-examined. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2006, 7(4 ): 13-.

URL:

http://www.zjujournals.com/xueshu/zjus-a/10.1631/jzus.2006.A0564     OR     http://www.zjujournals.com/xueshu/zjus-a/Y2006/V7/I4 /13

[1] Yi-feng Wu, Hao Wang, Ai-qun Li, Dong-ming Feng, Ben Sha, Yu-ping Zhang. Explicit finite element analysis and experimental verification of a sliding lead rubber bearing[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2017, 18(5): 363-376.
[2] Xiao-wen Song, Peng-zhe Lin, Rui Liu, Pei Zhou. Skin friction reduction characteristics of variable ovoid non-smooth surfaces[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2017, 18(1): 59-66.
[3] Tian-tian Zhang, Wei Huang, Zhen-guo Wang, Li Yan. A study of airfoil parameterization, modeling, and optimization based on the computational fluid dynamics method[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2016, 17(8): 632-645.
[4] Zhen-yu Wang, Yang Zhao, Guo-wei Ma, Zhi-guo He. A numerical study on the high-velocity impact behavior of pressure pipes[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2016, 17(6): 443-453.
[5] Han-jiang Lai, Jun-jie Zheng, Rong-jun Zhang, Ming-juan Cui. Visualization of the formation and features of soil arching within a piled embankment by discrete element method simulation[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2016, 17(10): 803-817.
[6] Antoine Dumas, Jean-Yves Dantan, Nicolas Gayton, Thomas Bles, Robin Loebl. An iterative statistical tolerance analysis procedure to deal with linearized behavior models[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2015, 16(5): 353-360.
[7] Qi-hua Ran, Qun Qian, Wei Li, Xu-dong Fu, Xiao Yu, Yue-ping Xu. Impact of earthquake-induced-landslides on hydrologic response of a steep mountainous catchment: a case study of the Wenchuan earthquake zone[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2015, 16(2): 131-142.
[8] Chun-ping Gu, Guang Ye, Wei Sun. A review of the chloride transport properties of cracked concrete: experiments and simulations[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2015, 16(2): 81-92.
[9] Wei-yun Shao, Li-jie Jiang, Lei Fang, David Z. Zhu, Zhi-lin Sun. Assessment of the safe evacuation of people walking through flooding staircases based on numerical simulation[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2015, 16(2): 117-130.
[10] Xiang-lei Zhang, Bin Yao, Wei Feng, Zhi-huang Shen, Meng-meng Wang. Modeling of a virtual grinding wheel based on random distribution of multi-grains and simulation of machine-process interaction[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2015, 16(11): 874-884.
[11] Ming-xiang Yang, Yun-zhong Jiang, Xing Lu, Hong-li Zhao, Yun-tao Ye, Yu Tian. A weather research and forecasting model evaluation for simulating heavy precipitation over the downstream area of the Yalong River Basin[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2015, 16(1): 18-37.
[12] Xiang Hu, Li Xie, Chuang Mi, Dian-hai Yang. Calibration and validation of an activated sludge model for a pilot-scale anoxic/anaerobic/aerobic/post-anoxic process[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2014, 15(9): 743-752.
[13] Peng-fei Li, Qian Fang, Ding-li Zhang. Analytical solutions of stresses and displacements for deep circular tunnels with liners in saturated ground[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2014, 15(6): 395-404.
[14] Tian Li, Ji-ye Zhang, Wei-hua Zhang. A numerical approach to the interaction between airflow and a high-speed train subjected to crosswind[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2013, 14(7): 482-493.
[15] Jie Mao, Zhi-yong Hao, Kang Zheng, Guo-xi Jing. Experimental validation of sound quality simulation and optimization of a four-cylinder diesel engine[J]. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2013, 14(5): 341-352.